WOW!
This is exactly what I needed!
But I got an error while running this code:

Dim objLink As HTMLLinkElement
Dim objMSHTML As New mshtml.HTMLDocument
Dim objDocument As mshtml.HTMLDocument
objDocument = objMSHTML.createDocumentFromUrl("http://www.facebook.com/", "")
***Error: Attempted to read or write protected memory. This is often an indication that other memory is corrupt.
While objDocument.readyState <> "complete"
Application.DoEvents()
End While
For Each objLink In objDocument.links
ListBox1.Items.Add(objLink)
Next

Dim request As WebRequest = HttpWebRequest.Create("http://www.mysite.com/")
Dim response As WebResponse = request.GetResponse()
Dim stream As Stream = response.GetResponseStream()
Dim reader As New StreamReader(stream)
Dim line As String
While reader.Peek > -1
line = reader.ReadLine()
If line.Contains("href") Then
'Do something with this line containing a href tag.
End If
End While